Testing autocorrelation and partial autocorrelation: Asymptotic methods versus resampling techniques.

Abstract

Autocorrelation and partial autocorrelation, which provide a mathematical tool to understand repeating patterns in time series data, are often used to facilitate the identification of model orders of time series models (e.g., moving average and autoregressive models). Asymptotic methods for testing autocorrelation and partial autocorrelation such as the 1/T… (More)
DOI: 10.1111/bmsp.12109

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